EconomicsEngineeringComputer Science
VaR constrained hedging of fixed price load-following obligations in competitive electricity markets
Y. Oum, S. Oren
2009.2.1Risk and Decision Analysis
tlooto Summary
An approximation method is proposed that restricts the search for the optimal VaR constrained portfolio to that efficient frontier when the mean-variance efficient frontier can be represented analytically, as is the case, when the load and logarithm of price follow a bivariate normal distribution.
Abstract
Abstract is not available.
Citation format
OUM, Y.; OREN, S. Var constrained hedging of fixed price load-following obligations in competitive electricity markets. Risk and Decision Analysis, 2009, 1: 43–56.